The role of lifestyle in development of herpes zoster remains unclear. We examined whether smoking status, alcohol consumption, body mass index, or physical activity were associated with zoster risk. We followed a population-based cohort of 101,894 respondents to the 2010 Danish National Health Survey (baseline, May 1, 2010) until zoster diagnosis, death, emigration, or July 1, 2014, whichever occurred first. We computed hazard ratios for zoster associated with each exposure, using Cox regression with age as the time scale and adjusting for potential confounders. Compared with never smokers, hazards for zoster were increased in former smokers (1.17, 95% confidence interval (CI): 1.06, 1.30), but not in current smokers (1.00, 95% CI: 0.89, 1.13). Compared with low-risk alcohol consumption, neither intermediate-risk (0.95, 95% CI: 0.84, 1.07) nor high-risk alcohol consumption (0.99, 95% CI: 0.85, 1.15) was associated with zoster. We also found no increased hazard associated with weekly binge drinking versus not (0.93, 95% CI: 0.77, 1.11). Risk of zoster varied little by body mass index (referent = normal weight) and physical activity levels (referent = light level), with hazard ratios between 0.96 and 1.08. We observed no dose-response association between the exposures and zoster. The examined lifestyle and anthropometric factors thus were not risk factors for zoster.